Assuming you're using Apache...
In the Apache "httpd.conf" file there's a section that looks like this:
# DirectoryIndex: Name of the file or files to use as a pre-written HTML
# directory index. Separate multiple entries with spaces.
#
<IfModule mod_dir.c>
DirectoryIndex index.php index.html index.php index.htm
</IfModule>
When a non-specific request (e.g. "www.example.com/") is made, Apache checks this list for a match. The first one it finds is the one it serves up. I suspect IIS behaves similarly.